We propose a continuous-time consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. Since fluctuations in marginal utility can be ascribed to variations in levels of risk aversion as well as in levels of consumption,...

This paper develops a consumption-based asset pricing model in which attitudes towards risk are contingent upon the state of the world. For low (high) level of consumption relative to a subjective metric, counter-cyclical (pro-cyclical) risk aversion implies that consumption shocks generate...

This paper develops a consumption-based asset pricing model in which attitudes towards risk are contingent upon the state of the world. For a low (high) level of consumption relative to a subjective metric, counter-cyclical (pro-cyclical) risk aversion implies that consumption shocks generate...

We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. Since a common factor - the state of the world - influences both stock prices and preferences, we obtain a valuation equation in which the vector of...

This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found that inferences about the nature of the trend in output are not robust to changes in the specification for short-run...

Investment expenditures in natural gas distribution pipelines account for 70% of the rate base of Société en Commandite Gaz Métropolitain (SCGM), the natural gas utility which serves most customers in the province of Québec. In allocating these costs to rate payers, the regulatory process...

The detection of dangerous road sites is usually performed using empirical methods which focus on observed accident frequencies and/or proportions of accidents with a given feature. The most widely used detection tools have an empirical Bayes (EB) background. The EB approaches rely on the...

This paper investigates the effect of working in the underground sector on the level of individual underground expenditures. We show that it can be decomposed into a network effect, a non-separability effect and an income effect. Our empirical analysis uses micro data from a randomized survey...

In this paper we estimate a model of household labor supply based on the collective approach developed by Chiappori (JPE, 1992). This approach assumes that the intra-household decision process leads to Pareto efficient outcomes. Our model extends this theory by allowing the marriage market, and...

Few studies have examined the dynamics of participation in welfare in Québec and elsewhere in Canada. This paper sheds some light on that important topic, which is crucial for the understanding of the features and of the effects of welfare programmes, and for the analysis of possible reforms....